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Realized Correlation Tick-By-Tick · Study

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PreprintRealized Correlation Tick-By-Tick

Fulvio Corsi2007

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Preprintgreen2007

Realized Correlation Tick-By-Tick

Fulvio Corsi · Francesco Audrino

37 citations·0/0 files stored·SSRN Electronic Journal

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Financial Risk and Volatility Modeling Stochastic processes and financial applications Complex Systems and Time Series Analysis

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References

1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options 2003Liquidity Risk and Expected Stock Returns 2003Modeling and Forecasting Realized Volatility 1977Estimating betas from nonsynchronous data 2002Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models 2001The Distribution of Realized Exchange Rate Volatility 1994Autoregressive conditional heteroskedasticity and changes in regime 2001Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics

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Details

Year2007

Typepreprint

Published2007-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations37

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.2139/ssrn.957997

openalex_workW1526757692

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